The Myth and Reality of Financial Machine Learning (Presentation Slides)

Abstract

In recent years, Machine Learning (ML) has been able to master tasks that until now only a few human experts could perform.

Some of the most successful hedge funds in history apply ML every day. However, myths about Financial ML have proliferated:

a) The Sisyphus paradigm is applicable to ML,

b) ML is a black-box,

c) Generic ML solutions work in Finance,

d) Traditional quants know about ML,

e) There are many ML Portfolio Managers.

In this presentation we will review the rationale behind those claims. Additional details can be found at:

https://ssrn.com/abstract=3104847.

Keywords: machine learning, supercomputing, pattern recognition, black box, investing

JEL Classification: G0, G1, G2, G15, G24, E44